Granger Causality Test in the Presence of Spillover Effects

DOI10.1080/03610910903243695zbMath1182.62179OpenAlexW1970342880MaRDI QIDQ3652744

Kristofer Månsson, Ghazi Shukur

Publication date: 16 December 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910903243695

zbMATH Keywords

tablespowersizeGARCHspillovertest

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (3)

A Wavelet-Based Approach of Testing for Granger Causality in the Presence of GARCH Effects ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ A New Ridge Regression Causality Test in the Presence of Multicollinearity

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
• Linear Statistical Inference and its Applications

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